Related papers: Dynamic Equilibrium with Insider Information and G…
We study the consequences of information asymmetries and misaligned incentives in settings with multiple independent agents. We model an interaction between a Sender, who holds vital private information but cannot act, and a Receiver, who…
We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a…
We study distributed estimation and learning problems in a networked environment where agents exchange information to estimate unknown statistical properties of random variables from their privately observed samples. The agents can…
We study a class of two-player repeated games with incomplete information and informational externalities. In these games, two states are chosen at the outset, and players get private information on the pair, before engaging in repeated…
Despite the importance of this variable in the macroeconomic context, current research on job insecurity remains mainly confined to its non-systemic dimension. The research aim of this paper is to identify the short-run and long-run…
In dynamic games with asymmetric information structure, the widely used concept of equilibrium is perfect Bayesian equilibrium (PBE). This is expressed as a strategy and belief pair that simultaneously satisfy sequential rationality and…
Boundedly Rational User Equilibria (BRUE) capture situations where all agents on a transportation network are electing the fastest option up to some time indifference, and serve as a relaxation of User Equilibria (UE), where each agent…
In revenue maximization of selling a digital product in a social network, the utility of an agent is often considered to have two parts: a private valuation, and linearly additive influences from other agents. We study the incomplete…
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
Correlated equilibria enable a coordinator to influence the self-interested agents by recommending actions that no player has an incentive to deviate from. However, the effectiveness of this mechanism relies on accurate knowledge of the…
In this paper, a general model of a pure exchange differential information economy is studied. In this economic model, the space of states of nature is a complete probability measure space, the space of agents is a measure space with a…
The standard asset pricing models (the CCAPM and the Epstein-Zin non-expected utility model) counterintuitively predict that equilibrium asset prices can rise if the representative agent's risk aversion increases. If the income effect,…
We formulate and analyze a general class of stochastic dynamic games with asymmetric information arising in dynamic systems. In such games, multiple strategic agents control the system dynamics and have different information about the…
This paper studies a communication game between an uninformed decision maker and two perfectly informed senders with conflicting interests. Senders can misreport information at a cost that increases with the size of the misrepresentation.…
The distribution of efficient individuals in the economy and the efforts that they will put in if they are hired, there are two important concerns for a technologically advanced firm. wants to open a new branch. The firm does not have…
Peer-prediction is a mechanism which elicits privately-held, non-variable information from self-interested agents---formally, truth-telling is a strict Bayes Nash equilibrium of the mechanism. The original Peer-prediction mechanism suffers…
Asymmetric actor-critic methods are widely used in partially observable reinforcement learning, but typically assume full state observability to condition the critic during training, which is often unrealistic in practice. We introduce the…
This paper studies a Kyle-Back model with a risk-averse insider possessing exponential utility and a dynamic stochastic signal about the asset's terminal fundamental value. While the existing literature considers either risk-neutral…
We study a setting where Bayesian agents with a common prior have private information related to an event's outcome and sequentially make public announcements relating to their information. Our main result shows that when agents' private…
We study a competitive electricity market equilibrium with two trading stages, day-ahead and real-time. The welfare of each market agent is exposed to uncertainty (here from renewable energy production), while agent information on the…